I have never had candle wax spew a mist of wax all over everything in a room, So in my case I would have to say it consumes completely. There are a lot of air freshener candles, like glade, which have more oils and chemicals in them and when those chemicals get heated there is a possibility of residue. I don't think it would be all over the room, just the general area of the candle.
A burning candle does not spew wax all over as it burns. If it is in a stationery place or held upright, then it will all burn until the candle wick is over and it will leave the outer excess wax as it goes off.
to find out ; you can make an experiment ,you will need a glass case ; something like an empty fish tank ,or a glass bowl ,light the candle ,then put it in the bowl, let it burn out ,check and see if theres a wax film on the inside of the bowl.
The only thing a burning candle spews is dark smoke. If you have ever been to a home where lots of candles are burned check out the air conditioner vents. You will see an accumulation of black from the candles.